A Regime-Switching Relative Value Arbitrage Rule

机译：一个政权切换相对值套利规则

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The relative value arbitrage rule, also known as "pairs trading" or "sta-tistical arbitrage", is a well established speculative investment strategy on financial markets, dating back to the 1980s. Today, especially hedge funds and investment banks extensively implement pairs trading as a long/short investment strategy.~1

机译：相对价值套利规则，也称为“对交易”或“STA-TINACE套利”，是一家关于金融市场的投机投资策略，可追溯到20世纪80年代。今天，特别是对冲基金和投资银行广泛实施成对交易作为长/较短的投资策略。〜1

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《International Conference on Operations Research Operations Research》|2009年||共6页
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Michael Bock; Roland Mestel;
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中图分类 O22-532;
关键词
arbitrage; extensively; investment;

机译：套利;广泛;投资;

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4. A Regime-Switching Relative Value Arbitrage Rule [C] . Michael Bock, Roland Mestel International Conference on Operations Research Operations Research . 2009

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7. Pairs Trading: Performance of a Relative Value Arbitrage Rule [O] . Evan G. Galev, William N. Goetzmann, K. Geert Rouwenhorst 100

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A Regime-Switching Relative Value Arbitrage Rule

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